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Value-Weighting on the Swedish Stock Exchange

Alkelin, Atle LU and Persson, Oskar (2017) NEKH01 20171
Department of Economics
Abstract
In this thesis, we use Bloomberg data to compute a metric developed by Bhattacharya & Galpin (2011) to examine the popularity of value-weighting on the Swedish stock exchange. After analyzing our data, we reach three conclusions in documenting that: (1) Value- weighting is becoming more popular over time. (2) Value-weighting is more popular on the OMXS30 than on the market as a whole (the OMXS All Share Index). (3) The popularity of value-weighting is decreasing in times on financial turmoil. The thesis is concluded with a discussion concerning possible explanations for our findings.
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author
Alkelin, Atle LU and Persson, Oskar
supervisor
organization
alternative title
A Stochastic Movement towards Mean-Variance Optimization
course
NEKH01 20171
year
type
M2 - Bachelor Degree
subject
keywords
Value-Weighting OMXS ETFs Financial Turmoil
language
English
id
8912280
date added to LUP
2017-07-11 11:15:00
date last changed
2017-07-11 11:15:00
@misc{8912280,
  abstract     = {In this thesis, we use Bloomberg data to compute a metric developed by Bhattacharya & Galpin (2011) to examine the popularity of value-weighting on the Swedish stock exchange. After analyzing our data, we reach three conclusions in documenting that: (1) Value- weighting is becoming more popular over time. (2) Value-weighting is more popular on the OMXS30 than on the market as a whole (the OMXS All Share Index). (3) The popularity of value-weighting is decreasing in times on financial turmoil. The thesis is concluded with a discussion concerning possible explanations for our findings.},
  author       = {Alkelin, Atle and Persson, Oskar},
  keyword      = {Value-Weighting OMXS ETFs Financial Turmoil},
  language     = {eng},
  note         = {Student Paper},
  title        = {Value-Weighting on the Swedish Stock Exchange},
  year         = {2017},
}